20-288 · 2020-07-23 · clearing member rate mnths 4-9 new 25.000% clearing member rate mnths 10+...

TO:

FROM:

Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers

SUBJECT:

DATE: Thursday, July 23, 2020

To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to

The rates will be effective after the close of business on

and subscribe to the Performance Bond Rates Advisory Notice listserver.

Current rates as of:

Thursday, July 23, 2020.

Friday, July 24, 2020.

In this current advisory there are changes to the Short Option Minimum and/or the Volatility Scan Range.

Below are descriptions of what each change affects:

- The Short Option Minimum (SOM) is a charge that is applied only to portfolios concentrated in short options

that do not generate a minimum margin requirement level when margins are calculated using the normal 16

SPAN scenarios. The SOM charge per short calls or short puts is a percentage of the outright margin on one

underlying futures contract.

- The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios.

As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below. Please email any questions to [email protected]

http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html

CME Clearing

Performance Bond Requirements

20-288





SPAN MINIMUM PERFORMANCE BOND REQUIREMENTS

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New Initial ISO Change Rate Type Description CC

AGRICULTURE - Outright Rates

UAN FOB NOLA SWAP (UFU)

Spec Decrease USD 1,320 1,200 1,100 1,000 UFU

Hedge/Member Decrease USD 1,200 1,200 1,000 1,000 UFU

DME Products - Outright Rates

SINGAPORE FUEL OIL180CST PLATTS FUT (DUP)

Spec Decrease USD 44,000 40,000 39,600 36,000 Mnth 1 DUP

Hedge/Member Decrease USD 40,000 40,000 36,000 36,000 Mnth 1 DUP

Spec Decrease USD 42,900 39,000 37,400 34,000 Mnth 2 DUP

Hedge/Member Decrease USD 39,000 39,000 34,000 34,000 Mnth 2 DUP

Spec Decrease USD 37,400 34,000 31,900 29,000 Mnths 3-7 DUP

Hedge/Member Decrease USD 34,000 34,000 29,000 29,000 Mnths 3-7 DUP

Spec Decrease USD 30,800 28,000 27,500 25,000 Mnths 8+ DUP

Hedge/Member Decrease USD 28,000 28,000 25,000 25,000 Mnths 8+ DUP

ELECTRICITY - Outright Rates

GERMAN POWER BASELOAD CAL MONTH FUT (DEB)

Spec Decrease EUR 2,750 2,500 2,640 2,400 Mnth 1 DEB

Hedge/Member Decrease EUR 2,500 2,500 2,400 2,400 Mnth 1 DEB

ETHANOL - Outright Rates

ETHANOL(PL) T2 FOB RTRDM INCL (Z1)

Spec Decrease EUR 4,840 4,400 4,070 3,700 Mnth 1 Z1

Hedge/Member Decrease EUR 4,400 4,400 3,700 3,700 Mnth 1 Z1

Spec Decrease EUR 4,840 4,400 4,070 3,700 Mnths 2+ Z1

Hedge/Member Decrease EUR 4,400 4,400 3,700 3,700 Mnths 2+ Z1

FREIGHT - Outright Rates

FREIGHT ROUTE TC17 (BALTIC) FUTURES (T7C)

Spec New USD 30,800 28,000 Mnths 1 T7C

Hedge/Member New USD 28,000 28,000 Mnths 1 T7C





Spec New USD 26,400 24,000 Mnths 4-9 T7C

Hedge/Member New USD 24,000 24,000 Mnths 4-9 T7C

Spec New USD 24,750 22,500 Mnths 10+ T7C

Hedge/Member New USD 22,500 22,500 Mnths 10+ T7C

of 35 7/23/2020 20 South Wacker Drive Chicago, IL 60606 Ph.: (312) 648-3888 Fax: (312) 930-3187 cmegroup.com


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METALS - Outright Rates

ALUMINA FOB AUSTRALIA PLATT FUTURES (ALA)

Spec Decrease USD 4,950 4,500 4,125 3,750 Mths 1-4 ALA

Hedge/Member Decrease USD 4,500 4,500 3,750 3,750 Mths 1-4 ALA

Spec Decrease USD 4,950 4,500 4,125 3,750 Mths 3+ ALA

Hedge/Member Decrease USD 4,500 4,500 3,750 3,750 Mths 3+ ALA

ALUMINIUM EURO PREM METAL BULLETIN (AEP)

Spec Decrease USD 275 250 259 235 Mth 1 AEP

Hedge/Member Decrease USD 250 250 235 235 Mth 1 AEP

Spec Decrease USD 303 275 259 235 Mths 2-9 AEP

Hedge/Member Decrease USD 275 275 235 235 Mths 2-9 AEP

Spec Decrease USD 303 275 259 235 Mths 10+ AEP

Hedge/Member Decrease USD 275 275 235 235 Mths 10+ AEP

ALUMINUM FUTURES (ALI)

Spec Decrease USD 1,870 1,700 1,595 1,450 Mths 1-4 ALI

Hedge/Member Decrease USD 1,700 1,700 1,450 1,450 Mths 1-4 ALI

Spec Decrease USD 1,870 1,700 1,595 1,450 Mths 5+ ALI

Hedge/Member Decrease USD 1,700 1,700 1,450 1,450 Mths 5+ ALI

ALUMINUM JAPAN PREMIUM (PLATTS) FUT (MJP)

Spec Decrease USD 358 325 303 275 Mth 1 MJP

Hedge/Member Decrease USD 325 325 275 275 Mth 1 MJP

Spec Decrease USD 358 325 303 275 Mths 2-9 MJP

Hedge/Member Decrease USD 325 325 275 275 Mths 2-9 MJP

Spec Decrease USD 358 325 303 275 Mths 10+ MJP

Hedge/Member Decrease USD 325 325 275 275 Mths 10+ MJP

IRON ORE 62% FE- CFR CHINA FUTURES (TIO)

Spec Decrease USD 4,675 4,250 4,125 3,750 Mnth 1 TIO

Hedge/Member Decrease USD 4,250 4,250 3,750 3,750 Mnth 1 TIO

Spec Decrease USD 4,125 3,750 3,575 3,250 Mnth 2-4 TIO

Hedge/Member Decrease USD 3,750 3,750 3,250 3,250 Mnth 2-4 TIO

Spec Decrease USD 3,575 3,250 3,025 2,750 Mnth 5-9 TIO

Hedge/Member Decrease USD 3,250 3,250 2,750 2,750 Mnth 5-9 TIO

Spec Decrease USD 3,300 3,000 2,750 2,500 Mnth 10+ TIO

Hedge/Member Decrease USD 3,000 3,000 2,500 2,500 Mnth 10+ TIO



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MICRO PALLADIUM FUTURES (PAM)

Spec Decrease USD 4,290 3,900 3,740 3,400 Mnth 1 PAM

Hedge/Member Decrease USD 3,900 3,900 3,400 3,400 Mnth 1 PAM





Spec Decrease USD 4,070 3,700 3,520 3,200 Mnth 4+ PAM

Hedge/Member Decrease USD 3,700 3,700 3,200 3,200 Mnth 4+ PAM

PALLADIUM FUTURES NYMEX (PA)

Spec Decrease USD 42,900 39,000 37,400 34,000 Mnth 1 PA

Hedge/Member Decrease USD 39,000 39,000 34,000 34,000 Mnth 1 PA





Spec Decrease USD 40,700 37,000 35,200 32,000 Mnth 4+ PA

Hedge/Member Decrease USD 37,000 37,000 32,000 32,000 Mnth 4+ PA

PALLADIUM TAS (PAT)

Spec Decrease USD 42,900 39,000 37,400 34,000 Mnth 1 PAT

Hedge/Member Decrease USD 39,000 39,000 34,000 34,000 Mnth 1 PAT





Spec Decrease USD 40,700 37,000 35,200 32,000 Mnth 4+ PAT

Hedge/Member Decrease USD 37,000 37,000 32,000 32,000 Mnth 4+ PAT

U.S. MIDWEST DOM STEEL PREM(CRU)FUT (HDG)

Spec Decrease USD 743 675 633 575 Mths 1-4 HDG

Hedge/Member Decrease USD 675 675 575 575 Mths 1-4 HDG

Spec Decrease USD 743 675 633 575 Mths 5+ HDG

Hedge/Member Decrease USD 675 675 575 575 Mths 5+ HDG



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U.S. MIDWEST DOMESTIC HOT-ROLLED CO (HR)

Spec Decrease USD 660 600 550 500 Mnths 2 - 7 HR

Hedge/Member Decrease USD 600 600 500 500 Mnths 2 - 7 HR

Spec Decrease USD 660 600 550 500 Mnths 8+ HR

Hedge/Member Decrease USD 600 600 500 500 Mnths 8+ HR

Spec Decrease USD 550 500 468 425 Mnth 1 HR

Hedge/Member Decrease USD 500 500 425 425 Mnth 1 HR



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NATURAL GAS - Outright Rates

LNG JAPAN KOREA MARKER PLATTS FUT (JKM)

Spec Decrease USD 3,300 3,000 2,860 2,600 Month 1 JKM

Hedge/Member Decrease USD 3,000 3,000 2,600 2,600 Month 1 JKM

Spec Decrease USD 3,300 3,000 2,860 2,600 Month 2 JKM

Hedge/Member Decrease USD 3,000 3,000 2,600 2,600 Month 2 JKM

Spec Decrease USD 3,300 3,000 2,860 2,600 Month 3-5 JKM

Hedge/Member Decrease USD 3,000 3,000 2,600 2,600 Month 3-5 JKM

Spec Decrease USD 3,190 2,900 2,640 2,400 Mnths 6+ JKM

Hedge/Member Decrease USD 2,900 2,900 2,400 2,400 Mnths 6+ JKM

LNG JAPAN/KOREA MARKER (PLATTS) BAC (JKB)

Spec Decrease USD 5,500 5,000 4,400 4,000 Month 1 JKB

Hedge/Member Decrease USD 5,000 5,000 4,000 4,000 Month 1 JKB

Spec Decrease USD 5,500 5,000 4,400 4,000 Month 2 JKB

Hedge/Member Decrease USD 5,000 5,000 4,000 4,000 Month 2 JKB

Spec Decrease USD 4,950 4,500 3,850 3,500 Month 3-5 JKB

Hedge/Member Decrease USD 4,500 4,500 3,500 3,500 Month 3-5 JKB

Spec Decrease USD 4,675 4,250 3,575 3,250 Mnths 6+ JKB

Hedge/Member Decrease USD 4,250 4,250 3,250 3,250 Mnths 6+ JKB

LNG JAPAN/KOREA MARKER (PLATTS) FRO (JKF)

Spec Decrease USD 5,390 4,900 4,400 4,000 Month 1 JKF

Hedge/Member Decrease USD 4,900 4,900 4,000 4,000 Month 1 JKF

Spec Decrease USD 5,060 4,600 3,960 3,600 Month 2 JKF

Hedge/Member Decrease USD 4,600 4,600 3,600 3,600 Month 2 JKF

Spec Decrease USD 4,895 4,450 3,850 3,500 Month 3-5 JKF

Hedge/Member Decrease USD 4,450 4,450 3,500 3,500 Month 3-5 JKF

UK NBP NAT GAS CAL MTH FUT (UKG)

Spec Decrease GBP 1,100 1,000 935 850 Mnth 1 UKG

Hedge/Member Decrease GBP 1,000 1,000 850 850 Mnth 1 UKG

Spec Decrease GBP 880 800 847 770 Mnth 2 UKG

Hedge/Member Decrease GBP 800 800 770 770 Mnth 2 UKG

Spec Decrease GBP 880 800 847 770 Mnth 3 UKG

Hedge/Member Decrease GBP 800 800 770 770 Mnth 3 UKG



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UK NBP NATURAL GAS FRONT MTH FUT (NBP)

Spec Decrease USD 4,730 4,300 3,850 3,500 Mnth 1 NBP

Hedge/Member Decrease USD 4,300 4,300 3,500 3,500 Mnth 1 NBP

Spec Decrease USD 3,575 3,250 3,465 3,150 Mnths 2 NBP

Hedge/Member Decrease USD 3,250 3,250 3,150 3,150 Mnths 2 NBP

Spec Decrease USD 3,575 3,250 3,465 3,150 Mnths 3+ NBP

Hedge/Member Decrease USD 3,250 3,250 3,150 3,150 Mnths 3+ NBP



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PETROLEUM CRACKS AND SPREADS - Outright Rates

1% FOIL(PLTS) CARGOES FOB NWE CRACK (FVB)

Spec Decrease USD 18,860 17,145 16,066 14,605 Mnth 1 FVB

Hedge/Member Decrease USD 17,145 17,145 14,605 14,605 Mnth 1 FVB

Spec Decrease USD 18,860 17,145 16,066 14,605 Mnth 2 FVB

Hedge/Member Decrease USD 17,145 17,145 14,605 14,605 Mnth 2 FVB

Spec Decrease USD 18,860 17,145 16,066 14,605 Mnths 3+ FVB

Hedge/Member Decrease USD 17,145 17,145 14,605 14,605 Mnths 3+ FVB

CHICAGO UNL GAS PL VS RBOB SPR (3C)

Spec Decrease USD 5,170 4,700 4,400 4,000 Mnth 1-2 3C

Hedge/Member Decrease USD 4,700 4,700 4,000 4,000 Mnth 1-2 3C

Spec Decrease USD 5,170 4,700 4,400 4,000 Mnth 3+ 3C

Hedge/Member Decrease USD 4,700 4,700 4,000 4,000 Mnth 3+ 3C

E/W NAPHTHA JAPAN CF VS CRGOES CIF (EWN)

Spec Decrease USD 10,560 9,600 9,240 8,400 Mnth 1 EWN

Hedge/Member Decrease USD 9,600 9,600 8,400 8,400 Mnth 1 EWN

Spec Decrease USD 10,120 9,200 8,800 8,000 Mnths 2-4 EWN

Hedge/Member Decrease USD 9,200 9,200 8,000 8,000 Mnths 2-4 EWN

FUEL OIL NWE CRACK VS. ICE (FI)

Spec Decrease USD 2,970 2,700 2,530 2,300 Mnth 1 FI

Hedge/Member Decrease USD 2,700 2,700 2,300 2,300 Mnth 1 FI

Spec Decrease USD 2,970 2,700 2,530 2,300 Mnth 2 FI

Hedge/Member Decrease USD 2,700 2,700 2,300 2,300 Mnth 2 FI

Spec Decrease USD 2,970 2,700 2,530 2,300 Mnths 3+ FI

Hedge/Member Decrease USD 2,700 2,700 2,300 2,300 Mnths 3+ FI

GLFCST JET PLATTS UP/DN FUT (ME)

Spec Decrease USD 2,310 2,100 1,870 1,700 Mnth 1 ME

Hedge/Member Decrease USD 2,100 2,100 1,700 1,700 Mnth 1 ME

Spec Decrease USD 2,310 2,100 1,870 1,700 Mnth 2 ME

Hedge/Member Decrease USD 2,100 2,100 1,700 1,700 Mnth 2 ME

Spec Decrease USD 2,090 1,900 1,650 1,500 Mnths 3-5 ME

Hedge/Member Decrease USD 1,900 1,900 1,500 1,500 Mnths 3-5 ME

Spec Decrease USD 1,650 1,500 1,210 1,100 Mnths 6-10 ME

Hedge/Member Decrease USD 1,500 1,500 1,100 1,100 Mnths 6-10 ME

Spec Decrease USD 1,320 1,200 1,100 1,000 Mnths 11+ ME

Hedge/Member Decrease USD 1,200 1,200 1,000 1,000 Mnths 11+ ME



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GRP THREE SUB-OCT GS (PLT) VS RBOB (A8)

Spec Decrease USD 3,410 3,100 2,420 2,200 Mnth 1 A8

Hedge/Member Decrease USD 3,100 3,100 2,200 2,200 Mnth 1 A8



Spec Decrease USD 2,530 2,300 1,980 1,800 Mnths 3+ A8

Hedge/Member Decrease USD 2,300 2,300 1,800 1,800 Mnths 3+ A8

GRP3 ULSD VS NY HRBR ULSD FUT (A6)



Spec Decrease USD 1,210 1,100 1,045 950 Mnth 2 A6

Hedge/Member Decrease USD 1,100 1,100 950 950 Mnth 2 A6

Spec Decrease USD 1,100 1,000 880 800 Mnths 3-5 A6

Hedge/Member Decrease USD 1,000 1,000 800 800 Mnths 3-5 A6

Spec Decrease USD 990 900 715 650 Mnths 6+ A6

Hedge/Member Decrease USD 900 900 650 650 Mnths 6+ A6

GULF COAST CBOB GAS A2 VS RBOB SRRD (CRB)

Spec Decrease USD 1,650 1,500 1,375 1,250 Mnth 1 CRB

Hedge/Member Decrease USD 1,500 1,500 1,250 1,250 Mnth 1 CRB

Spec Decrease USD 1,045 950 902 820 Mnth 2 CRB

Hedge/Member Decrease USD 950 950 820 820 Mnth 2 CRB

Spec Decrease USD 935 850 792 720 Mnths 3+ CRB

Hedge/Member Decrease USD 850 850 720 720 Mnths 3+ CRB

LA CARBD (OPIS) VS. NY HRBR ULSD (KL)

Spec Decrease USD 6,050 5,500 4,950 4,500 Mnth 1 KL

Hedge/Member Decrease USD 5,500 5,500 4,500 4,500 Mnth 1 KL

Spec Decrease USD 5,830 5,300 4,730 4,300 Mnth 2 KL

Hedge/Member Decrease USD 5,300 5,300 4,300 4,300 Mnth 2 KL

Spec Decrease USD 5,830 5,300 4,730 4,300 Mnths 3+ KL

Hedge/Member Decrease USD 5,300 5,300 4,300 4,300 Mnths 3+ KL

MINI 1% FUEL OIL CARGO CRACK (MNS)

Spec Decrease USD 1,886 1,715 1,607 1,461 Mnth 1 MNS

Hedge/Member Decrease USD 1,715 1,715 1,461 1,461 Mnth 1 MNS

Spec Decrease USD 1,886 1,715 1,607 1,461 Mnth 2 MNS

Hedge/Member Decrease USD 1,715 1,715 1,461 1,461 Mnth 2 MNS

Spec Decrease USD 1,886 1,715 1,607 1,461 Mnths 3+ MNS

Hedge/Member Decrease USD 1,715 1,715 1,461 1,461 Mnths 3+ MNS



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NEW YORK FUEL OIL 1% V. EURO 1% FO (NYF)

Spec Increase USD 1,705 1,550 1,870 1,700 Mnth 2 NYF

Hedge/Member Increase USD 1,550 1,550 1,700 1,700 Mnth 2 NYF

Spec Increase USD 1,705 1,550 1,870 1,700 Mnths 3+ NYF

Hedge/Member Increase USD 1,550 1,550 1,700 1,700 Mnths 3+ NYF

NY 3% FUEL OIL V GULF COAST NO6 3% (FOC)

Spec Decrease USD 715 650 605 550 Mnth 1-2 FOC

Hedge/Member Decrease USD 650 650 550 550 Mnth 1-2 FOC

Spec Decrease USD 462 420 330 300 Mnths 3-12 FOC

Hedge/Member Decrease USD 420 420 300 300 Mnths 3-12 FOC

Spec Decrease USD 462 420 330 300 Mnths 13+ FOC

Hedge/Member Decrease USD 420 420 300 300 Mnths 13+ FOC

NY HARBOR RESIDUAL FUEL CRACK FUT (ML)

Spec Decrease USD 4,125 3,750 3,410 3,100 Mnth 1 ML

Hedge/Member Decrease USD 3,750 3,750 3,100 3,100 Mnth 1 ML

NY ULSD VS. NY HRBR ULSD FUT (7Y)

Spec Decrease USD 1,210 1,100 1,045 950 Mnth 1 7Y

Hedge/Member Decrease USD 1,100 1,100 950 950 Mnth 1 7Y

Spec Decrease USD 1,155 1,050 990 900 Mnth 2 7Y

Hedge/Member Decrease USD 1,050 1,050 900 900 Mnth 2 7Y

Spec Decrease USD 1,100 1,000 880 800 Mnths 3+ 7Y

Hedge/Member Decrease USD 1,000 1,000 800 800 Mnths 3+ 7Y

SPORE FUEL OIL 180CST 6.35 CK (STR)

Spec Decrease USD 5,500 5,000 4,400 4,000 STR

Hedge/Member Decrease USD 5,000 5,000 4,000 4,000 STR



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REFINED PRODUCTS - Outright Rates

EIA FLAT TAX ONHWAY DIESEL FUT (A5)



Spec Decrease USD 6,820 6,200 5,720 5,200 Mnths 2-6 A5

Hedge/Member Decrease USD 6,200 6,200 5,200 5,200 Mnths 2-6 A5

Spec Decrease USD 6,600 6,000 5,500 5,000 Mnths 7+ A5

Hedge/Member Decrease USD 6,000 6,000 5,000 5,000 Mnths 7+ A5

EIA FLAT TAX US RETAIL GASOLINE FUT (JE)

Spec Decrease USD 9,900 9,000 7,700 7,000 Month 1 JE

Hedge/Member Decrease USD 9,000 9,000 7,000 7,000 Month 1 JE

Spec Decrease USD 8,250 7,500 6,600 6,000 Mths 2-7 JE

Hedge/Member Decrease USD 7,500 7,500 6,000 6,000 Mths 2-7 JE

EUROPE 3.5% FUEL OIL RDAM CALFUT (UV)

Spec Decrease USD 35,200 32,000 30,800 28,000 Mths 1 UV

Hedge/Member Decrease USD 32,000 32,000 28,000 28,000 Mths 1 UV

Spec Decrease USD 31,900 29,000 27,500 25,000 Mnths 2 UV

Hedge/Member Decrease USD 29,000 29,000 25,000 25,000 Mnths 2 UV

Spec Decrease USD 28,600 26,000 24,750 22,500 Mnths 3-10 UV

Hedge/Member Decrease USD 26,000 26,000 22,500 22,500 Mnths 3-10 UV

EUROPE NAPHTHA CALFUT (UN)

Spec Decrease USD 42,350 38,500 37,950 34,500 Mths 1 UN

Hedge/Member Decrease USD 38,500 38,500 34,500 34,500 Mths 1 UN

Spec Decrease USD 42,350 38,500 37,950 34,500 Mths 2-6 UN

Hedge/Member Decrease USD 38,500 38,500 34,500 34,500 Mths 2-6 UN

Spec Decrease USD 37,950 34,500 33,550 30,500 Mnths 7+ UN

Hedge/Member Decrease USD 34,500 34,500 30,500 30,500 Mnths 7+ UN

EUROPEAN FOB RDAM MARINE FUEL 0.5% (R5F)

Spec Decrease USD 52,800 48,000 46,200 42,000 Month 1 R5F

Hedge/Member Decrease USD 48,000 48,000 42,000 42,000 Month 1 R5F

Spec Decrease USD 49,500 45,000 44,000 40,000 Month 2 R5F

Hedge/Member Decrease USD 45,000 45,000 40,000 40,000 Month 2 R5F

Spec Decrease USD 49,500 45,000 41,800 38,000 Month 3+ R5F

Hedge/Member Decrease USD 45,000 45,000 38,000 38,000 Month 3+ R5F



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GAS EURO-BOB OXY (ARG) NEW BRG (7H)

Spec Decrease USD 61,600 56,000 55,000 50,000 Mnth 1 7H

Hedge/Member Decrease USD 56,000 56,000 50,000 50,000 Mnth 1 7H

Spec Decrease USD 59,400 54,000 52,800 48,000 Mnths 2-6 7H

Hedge/Member Decrease USD 54,000 54,000 48,000 48,000 Mnths 2-6 7H

Spec Decrease USD 45,100 41,000 40,700 37,000 Mnths 7-12 7H

Hedge/Member Decrease USD 41,000 41,000 37,000 37,000 Mnths 7-12 7H

Spec Decrease USD 38,500 35,000 34,100 31,000 Mnths 13+ 7H

Hedge/Member Decrease USD 35,000 35,000 31,000 31,000 Mnths 13+ 7H

GULF COAST HSFO (PLATTS) FUTURES (MF)

Spec Decrease USD 5,500 5,000 4,950 4,500 Mnth 1 MF

Hedge/Member Decrease USD 5,000 5,000 4,500 4,500 Mnth 1 MF

Spec Decrease USD 4,730 4,300 4,180 3,800 Mnths 2-6 MF

Hedge/Member Decrease USD 4,300 4,300 3,800 3,800 Mnths 2-6 MF

Spec Decrease USD 4,180 3,800 3,520 3,200 Mnths 7-24 MF

Hedge/Member Decrease USD 3,800 3,800 3,200 3,200 Mnths 7-24 MF

GULF COAST JET FUEL CLNDR FUT (GE)

Spec Decrease USD 8,800 8,000 6,600 6,000 Mnth 1 GE

Hedge/Member Decrease USD 8,000 8,000 6,000 6,000 Mnth 1 GE

Spec Decrease USD 8,360 7,600 5,500 5,000 Mnths 2-6 GE

Hedge/Member Decrease USD 7,600 7,600 5,000 5,000 Mnths 2-6 GE

Spec Decrease USD 6,930 6,300 4,620 4,200 Mnths 7+ GE

Hedge/Member Decrease USD 6,300 6,300 4,200 4,200 Mnths 7+ GE

GULF COAST ULSD CALENDAR FUT (LY)

Spec Decrease USD 5,720 5,200 4,950 4,500 Mnth 1 LY

Hedge/Member Decrease USD 5,200 5,200 4,500 4,500 Mnth 1 LY

Spec Decrease USD 5,720 5,200 4,950 4,500 Mnths 2-6 LY

Hedge/Member Decrease USD 5,200 5,200 4,500 4,500 Mnths 2-6 LY

Spec Decrease USD 4,950 4,500 4,180 3,800 Mnths 7-12 LY

Hedge/Member Decrease USD 4,500 4,500 3,800 3,800 Mnths 7-12 LY

Spec Decrease USD 4,510 4,100 3,740 3,400 Mnths 13+ LY

Hedge/Member Decrease USD 4,100 4,100 3,400 3,400 Mnths 13+ LY



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JAPAN C&F NAPHTHA FUT (JA)

Spec Decrease USD 42,900 39,000 37,950 34,500 Mnth 1 JA

Hedge/Member Decrease USD 39,000 39,000 34,500 34,500 Mnth 1 JA

Spec Decrease USD 42,900 39,000 37,950 34,500 Mnths 2-6 JA

Hedge/Member Decrease USD 39,000 39,000 34,500 34,500 Mnths 2-6 JA

Spec Decrease USD 38,500 35,000 35,200 32,000 Mnths 7+ JA

Hedge/Member Decrease USD 35,000 35,000 32,000 32,000 Mnths 7+ JA

MICRO EURO MARINE 0.5% FO BARGES (R5O)

Spec Decrease USD 528 480 462 420 Month 1 R5O

Hedge/Member Decrease USD 480 480 420 420 Month 1 R5O

Spec Decrease USD 495 450 440 400 Month 2 R5O

Hedge/Member Decrease USD 450 450 400 400 Month 2 R5O

Spec Decrease USD 495 450 418 380 Month 3+ R5O

Hedge/Member Decrease USD 450 450 380 380 Month 3+ R5O

MICRO EUROPEAN 3.5% FUEL OIL BARGES (MEF)

Spec Decrease USD 352 320 308 280 Mths 1 MEF

Hedge/Member Decrease USD 320 320 280 280 Mths 1 MEF

Spec Decrease USD 319 290 275 250 Mnths 2 MEF

Hedge/Member Decrease USD 290 290 250 250 Mnths 2 MEF

Spec Decrease USD 286 260 248 225 Mnths 3-10 MEF

Hedge/Member Decrease USD 260 260 225 225 Mnths 3-10 MEF

MICRO SINGAPORE FOB MARINE FUEL 0.5 (S5O)

Spec Decrease USD 446 405 407 370 Month 3+ S5O

Hedge/Member Decrease USD 405 405 370 370 Month 3+ S5O

MIN EURO NPHTHA CIF NWE FUT (MNC)

Spec Decrease USD 4,235 3,850 3,795 3,450 Mths 1 MNC

Hedge/Member Decrease USD 3,850 3,850 3,450 3,450 Mths 1 MNC

Spec Decrease USD 4,235 3,850 3,795 3,450 Mths 2-6 MNC

Hedge/Member Decrease USD 3,850 3,850 3,450 3,450 Mths 2-6 MNC

Spec Decrease USD 3,795 3,450 3,355 3,050 Mnths 7+ MNC

Hedge/Member Decrease USD 3,450 3,450 3,050 3,050 Mnths 7+ MNC

MIN JAPAN C&F NAPHTHA PLATTS FUT (MJN)

Spec Decrease USD 4,290 3,900 3,795 3,450 Mnth 1 MJN

Hedge/Member Decrease USD 3,900 3,900 3,450 3,450 Mnth 1 MJN

Spec Decrease USD 4,290 3,900 3,795 3,450 Mnths 2-6 MJN

Hedge/Member Decrease USD 3,900 3,900 3,450 3,450 Mnths 2-6 MJN

Spec Decrease USD 3,850 3,500 3,520 3,200 Mnths 7+ MJN

Hedge/Member Decrease USD 3,500 3,500 3,200 3,200 Mnths 7+ MJN



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MINI EURO 3.5% FUEL OIL FOB RDM FUT (0D)

Spec Decrease USD 3,520 3,200 3,080 2,800 Mths 1 0D

Hedge/Member Decrease USD 3,200 3,200 2,800 2,800 Mths 1 0D

Spec Decrease USD 3,190 2,900 2,750 2,500 Mnths 2 0D

Hedge/Member Decrease USD 2,900 2,900 2,500 2,500 Mnths 2 0D

Spec Decrease USD 2,860 2,600 2,475 2,250 Mnths 3-10 0D

Hedge/Member Decrease USD 2,600 2,600 2,250 2,250 Mnths 3-10 0D

MINI EUROPEAN FOB RDAM MARINE FUEL (R5M)

Spec Decrease USD 5,280 4,800 4,620 4,200 Month 1 R5M

Hedge/Member Decrease USD 4,800 4,800 4,200 4,200 Month 1 R5M

Spec Decrease USD 4,950 4,500 4,400 4,000 Month 2 R5M

Hedge/Member Decrease USD 4,500 4,500 4,000 4,000 Month 2 R5M

Spec Decrease USD 4,950 4,500 4,180 3,800 Month 3+ R5M

Hedge/Member Decrease USD 4,500 4,500 3,800 3,800 Month 3+ R5M

MINI GAS EUROBOB OXY BARGES FUT (MEO)

Spec Decrease USD 61,600 56,000 55,000 50,000 Mnth 1 MEO

Hedge/Member Decrease USD 56,000 56,000 50,000 50,000 Mnth 1 MEO

Spec Decrease USD 59,400 54,000 52,800 48,000 Mnths 2-6 MEO

Hedge/Member Decrease USD 54,000 54,000 48,000 48,000 Mnths 2-6 MEO

Spec Decrease USD 45,100 41,000 40,700 37,000 Mnths 7-12 MEO

Hedge/Member Decrease USD 41,000 41,000 37,000 37,000 Mnths 7-12 MEO

Spec Decrease USD 38,500 35,000 34,100 31,000 Mnths 13+ MEO

Hedge/Member Decrease USD 35,000 35,000 31,000 31,000 Mnths 13+ MEO

MINI SINGAPORE FOB MARINE FUEL 0.5% (S5M)

Spec Decrease USD 4,455 4,050 4,070 3,700 Month 3+ S5M

Hedge/Member Decrease USD 4,050 4,050 3,700 3,700 Month 3+ S5M

MINI SINGP FUEL OIL 180CST FUTURES (0F)

Spec Decrease USD 4,400 4,000 3,960 3,600 Mnth 1 0F

Hedge/Member Decrease USD 4,000 4,000 3,600 3,600 Mnth 1 0F

Spec Decrease USD 4,290 3,900 3,740 3,400 Mnth 2 0F

Hedge/Member Decrease USD 3,900 3,900 3,400 3,400 Mnth 2 0F

Spec Decrease USD 3,740 3,400 3,190 2,900 Mnths 3-7 0F

Hedge/Member Decrease USD 3,400 3,400 2,900 2,900 Mnths 3-7 0F

Spec Decrease USD 3,080 2,800 2,750 2,500 Mnths 8+ 0F

Hedge/Member Decrease USD 2,800 2,800 2,500 2,500 Mnths 8+ 0F



Outright Rates

New Maintenance

Current Maintenance

Current Initial


MOGAS92 UNLEADED (PLATTS) FUT (1N)

Spec Decrease USD 7,370 6,700 6,600 6,000 Mnth 2 1N

Hedge/Member Decrease USD 6,700 6,700 6,000 6,000 Mnth 2 1N

Spec Decrease USD 6,600 6,000 5,775 5,250 Mnth 1 1N

Hedge/Member Decrease USD 6,000 6,000 5,250 5,250 Mnth 1 1N

Spec Decrease USD 6,325 5,750 5,500 5,000 Mnths 3+ 1N

Hedge/Member Decrease USD 5,750 5,750 5,000 5,000 Mnths 3+ 1N

NY HARBOR RESIDUAL FUEL 1.0% S FUT (MM)

Spec Decrease USD 6,380 5,800 5,280 4,800 Mnth 1 MM

Hedge/Member Decrease USD 5,800 5,800 4,800 4,800 Mnth 1 MM

Spec Decrease USD 6,160 5,600 5,060 4,600 Mnths 2-6 MM

Hedge/Member Decrease USD 5,600 5,600 4,600 4,600 Mnths 2-6 MM

Spec Decrease USD 5,500 5,000 4,840 4,400 Mnths 7+ MM

Hedge/Member Decrease USD 5,000 5,000 4,400 4,400 Mnths 7+ MM

PREMIUM UNLD 10P FOB MED FUT (3G)

Spec Decrease USD 73,700 67,000 59,400 54,000 Mnth 1 3G

Hedge/Member Decrease USD 67,000 67,000 54,000 54,000 Mnth 1 3G

Spec Decrease USD 66,000 60,000 51,700 47,000 Mnths 2+ 3G

Hedge/Member Decrease USD 60,000 60,000 47,000 47,000 Mnths 2+ 3G

SINGAPORE FOB MARINE FUEL 0.5% (PLA (S5F)

Spec Decrease USD 44,550 40,500 40,700 37,000 Month 3+ S5F

Hedge/Member Decrease USD 40,500 40,500 37,000 37,000 Month 3+ S5F

SINGAPORE FUEL 180CST CALFUT (UA)

Spec Decrease USD 44,000 40,000 39,600 36,000 Mnth 1 UA

Hedge/Member Decrease USD 40,000 40,000 36,000 36,000 Mnth 1 UA

Spec Decrease USD 42,900 39,000 37,400 34,000 Mnth 2 UA

Hedge/Member Decrease USD 39,000 39,000 34,000 34,000 Mnth 2 UA

Spec Decrease USD 37,400 34,000 31,900 29,000 Mnths 3-7 UA

Hedge/Member Decrease USD 34,000 34,000 29,000 29,000 Mnths 3-7 UA

Spec Decrease USD 30,800 28,000 27,500 25,000 Mnths 8+ UA

Hedge/Member Decrease USD 28,000 28,000 25,000 25,000 Mnths 8+ UA

SYNTHET GULF COAST NO.6 FUEL OIL 3 (SMF)

Spec Decrease USD 5,500 5,000 4,950 4,500 Mnth 1 SMF

Hedge/Member Decrease USD 5,000 5,000 4,500 4,500 Mnth 1 SMF

Spec Decrease USD 4,730 4,300 4,180 3,800 Mnths 2-6 SMF

Hedge/Member Decrease USD 4,300 4,300 3,800 3,800 Mnths 2-6 SMF

Spec Decrease USD 4,180 3,800 3,520 3,200 Mnths 7-24 SMF

Hedge/Member Decrease USD 3,800 3,800 3,200 3,200 Mnths 7-24 SMF



Outright Rates

New Maintenance

Current Maintenance

Current Initial


USGC MARINE FUEL 0.5% (PLATTS) FUT (H5F)

Spec Decrease USD 8,250 7,500 6,600 6,000 Month 1 H5F

Hedge/Member Decrease USD 7,500 7,500 6,000 6,000 Month 1 H5F

Spec Decrease USD 6,050 5,500 5,500 5,000 Month 2 H5F

Hedge/Member Decrease USD 5,500 5,500 5,000 5,000 Month 2 H5F

Spec Decrease USD 6,050 5,500 5,500 5,000 Month 3+ H5F

Hedge/Member Decrease USD 5,500 5,500 5,000 5,000 Month 3+ H5F

USGC MARINE FUEL 0.5% BARGES (PLATT (UP5)

Spec Decrease USD 52,388 47,625 41,910 38,100 Month 1 UP5

Hedge/Member Decrease USD 47,625 47,625 38,100 38,100 Month 1 UP5

Spec Decrease USD 38,418 34,925 34,925 31,750 Month 2 UP5

Hedge/Member Decrease USD 34,925 34,925 31,750 31,750 Month 2 UP5

Spec Decrease USD 38,418 34,925 34,925 31,750 Month 3+ UP5

Hedge/Member Decrease USD 34,925 34,925 31,750 31,750 Month 3+ UP5



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


AGRICULTURE - Intra Spreads

All Mnths (BLACK SEA CORN FIN STL PLATTS FUT)

Spec Increase USD 242 220 303 275 BCF

Hedge/Member Increase USD 220 220 275 275 BCF

Rough Rice (CBOT) (14) - Months 1 vs Months 2+ (ROUGH RICE FUTURES)

Spec Decrease USD 2,959 2,690 2,695 2,450 14

Hedge/Member Decrease USD 2,690 2,690 2,450 2,450 14

CRUDE OIL - Intra Spreads

Month 2 vs 3-8 (DUBAI CRUDE OIL CALENDAR FUT)

Spec Decrease USD 2,640 2,400 2,200 2,000 DC

Hedge/Member Decrease USD 2,400 2,400 2,000 2,000 DC

Month 2 vs 3-8 (MINI DUBAI CRUDE OIL (PLATTS) FUT)

Spec Decrease USD 264 240 220 200 DBL

Hedge/Member Decrease USD 240 240 200 200 DBL

Month 2 vs 9+ (DUBAI CRUDE OIL CALENDAR FUT)

Spec Decrease USD 2,475 2,250 2,090 1,900 DC

Hedge/Member Decrease USD 2,250 2,250 1,900 1,900 DC

Month 2 vs 9+ (MINI DUBAI CRUDE OIL (PLATTS) FUT)

Spec Decrease USD 248 225 209 190 DBL

Hedge/Member Decrease USD 225 225 190 190 DBL

DME Products - Intra Spreads

Consecutives (SINGAPORE FUEL OIL 380CST PLATT FUT)

Spec Decrease USD 3,300 3,000 2,200 2,000 DSE

Hedge/Member Decrease USD 3,000 3,000 2,000 2,000 DSE

Months 7+ vs 7+ (SINGAPORE FUEL OIL 380CST PLATT FUT)

Spec Increase USD 5,940 5,400 6,600 6,000 DSE

Hedge/Member Increase USD 5,400 5,400 6,000 6,000 DSE



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


ETHANOL - Intra Spreads

CBOT Ethanol Futures (EH) - 1 vs 2 (ETHANOL FUTURES)

Spec Increase USD 1,650 1,500 1,980 1,800 EH

Hedge/Member Increase USD 1,500 1,500 1,800 1,800 EH


Spec Increase USD 1,870 1,700 2,090 1,900 EH

Hedge/Member Increase USD 1,700 1,700 1,900 1,900 EH


Spec Decrease USD 1,100 1,000 880 800 EH

Hedge/Member Decrease USD 1,000 1,000 800 800 EH

CBOT Ethanol Futures (EH) - All Consecutive Months 2+ (ETHANOL FUTURES)

Spec Decrease USD 935 850 715 650 EH

Hedge/Member Decrease USD 850 850 650 650 EH

CHICAGO ETHANOL (PLATTS) SWAP FUTURES Mth 1 vs Mths 8+ (CHICAGO ETHANOL FUT)

Spec Decrease USD 2,200 2,000 1,760 1,600 CU

Hedge/Member Decrease USD 2,000 2,000 1,600 1,600 CU

Chicago Ethanol (Platts) Swap, Mth 1 vs. Mths 3-7 (CHICAGO ETHANOL FUT)

Spec Decrease USD 2,200 2,000 1,980 1,800 CU

Hedge/Member Decrease USD 2,000 2,000 1,800 1,800 CU

Chicago Ethanol (Platts) Swap, Mths 3-7 vs. Mths 3-7 (CHICAGO ETHANOL FUT)

Spec Increase USD 935 850 1,045 950 CU

Hedge/Member Increase USD 850 850 950 950 CU

FREIGHT - Intra Spreads

(FREIGHT ROUTE TC17 (BALTIC) FUTURES)

Spec New USD 14,850 13,500 T7C

Hedge/Member New USD 13,500 13,500 T7C



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


NATURAL GAS - Intra Spreads

JKM - Consec Month 2-12 vs 13+ (LNG JAPAN KOREA MARKER PLATTS FUT)

Spec Decrease USD 3,025 2,750 2,750 2,500 JKM

Hedge/Member Decrease USD 2,750 2,750 2,500 2,500 JKM

JKM - Mnth 1 vs 13+ (LNG JAPAN KOREA MARKER PLATTS FUT)



JKM - Mnths 13+ vs 13+ (LNG JAPAN KOREA MARKER PLATTS FUT)



JKM - Mnths 2-12 vs 13+ (LNG JAPAN KOREA MARKER PLATTS FUT)



JKM - Mnths 2-12 vs 2-12 (LNG JAPAN KOREA MARKER PLATTS FUT)



LNG Japan/Korea Marker (Platts) Swap Futures - Mnth 1 vs 2-12 (LNG JAPAN KOREA MARKER PLATTS FUT)





Intra Spreads

New Maintenance

Current Maintenance

Current Initial


PETROLEUM CRACKS AND SPREADS - Intra Spreads

East/West Fuel Oil Spread RelPeriod (EAST/WEST FUEL OIL SPREAD FUT)

Spec Decrease USD 5,225 4,750 3,850 3,500 EW

Hedge/Member Decrease USD 4,750 4,750 3,500 3,500 EW

East/West Fuel Oil Spread RelPeriod (MINI EAST-WEST FUEL OIL FUTURES)

Spec Decrease USD 523 475 385 350 MEW

Hedge/Member Decrease USD 475 475 350 350 MEW

East/West Fuel Oil Spread Swap - Tier 1 vs Tier 2 (EAST/WEST FUEL OIL SPREAD FUT)



East/West Fuel Oil Spread Swap - Tier 1 vs Tier 2 (MINI EAST-WEST FUEL OIL FUTURES)



East/West Fuel Oil Spread Swap - Tier 2 vs Tier 2 (EAST/WEST FUEL OIL SPREAD FUT)



East/West Fuel Oil Spread Swap - Tier 2 vs Tier 2 (MINI EAST-WEST FUEL OIL FUTURES)



East-West Naphtha: Japan C&F vs. Cargoes CIF NWE Spread (Platts) Swap Futures - Tier 1 vs. Tier 2 (E/W NAPHTHA JAPAN CF VS CRGOES CIF)

Spec Decrease USD 6,600 6,000 5,720 5,200 EWN

Hedge/Member Decrease USD 6,000 6,000 5,200 5,200 EWN

European 1% Fuel Oil Cargoes FOB MED vs. European 1% Fuel Oil Cargoes FOB NWE Spread (Platts) Swap Futures- All Months (EUR1%FUEL OIL CARG FOB MED V FOBNWE)

Spec Decrease USD 3,080 2,800 2,530 2,300 ENS

Hedge/Member Decrease USD 2,800 2,800 2,300 2,300 ENS

GROUP THREE ULSD (PLATTS) VS. HEATING OIL SPREAD S - 6+ vs 6+ (GRP3 ULSD VS NY HRBR ULSD FUT)

Spec Decrease USD 836 760 682 620 A6

Hedge/Member Decrease USD 760 760 620 620 A6

GULF COAST JET VS. NYMEX #2 HEA (ME) - Mnth 1 vs 11+ (GLFCST JET PLATTS UP/DN FUT)

Spec Decrease USD 1,430 1,300 990 900 ME

Hedge/Member Decrease USD 1,300 1,300 900 900 ME

GULF COAST JET VS. NYMEX #2 HEA (ME) - Mnth 2 vs 11+ (GLFCST JET PLATTS UP/DN FUT)

Spec Decrease USD 1,540 1,400 1,155 1,050 ME

Hedge/Member Decrease USD 1,400 1,400 1,050 1,050 ME



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


GULF COAST JET VS. NYMEX #2 HEA (ME) - Mnth 3-5 vs 11+ (GLFCST JET PLATTS UP/DN FUT)

Spec Decrease USD 1,650 1,500 1,430 1,300 ME

Hedge/Member Decrease USD 1,500 1,500 1,300 1,300 ME

NY 3.0% Fuel Oil vs. Gulf Coast No. 6 Fuel Oil 3.0% (Platts) Swap Futures - All Months (NY 3% FUEL OIL V GULF COAST NO6 3%)

Spec Decrease USD 660 600 550 500 FOC

Hedge/Member Decrease USD 600 600 500 500 FOC

Singapore Fuel Oil 180 cst (Platts) 6.35 Brent Crack Spread Swap Futures - All Months (SPORE FUEL OIL 180CST 6.35 CK)

Spec Decrease USD 3,300 3,000 2,750 2,500 STR

Hedge/Member Decrease USD 3,000 3,000 2,500 2,500 STR



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


REFINED PRODUCTS - Intra Spreads

(EUROPEAN FOB RDAM MARINE FUEL 0.5%)

Spec Decrease USD 16,280 14,800 14,850 13,500 R5F

Hedge/Member Decrease USD 14,800 14,800 13,500 13,500 R5F

(MICRO EURO MARINE 0.5% FO BARGES)

Spec Decrease USD 163 148 149 135 R5O

Hedge/Member Decrease USD 148 148 135 135 R5O

(MICRO SINGAPORE FOB MARINE FUEL 0.5)

Spec Decrease USD 198 180 154 140 S5O

Hedge/Member Decrease USD 180 180 140 140 S5O

(MINI EUROPEAN FOB RDAM MARINE FUEL)

Spec Decrease USD 1,628 1,480 1,485 1,350 R5M

Hedge/Member Decrease USD 1,480 1,480 1,350 1,350 R5M

(MINI SINGAPORE FOB MARINE FUEL 0.5%)

Spec Decrease USD 1,980 1,800 1,540 1,400 S5M

Hedge/Member Decrease USD 1,800 1,800 1,400 1,400 S5M

(SINGAPORE FOB MARINE FUEL 0.5% (PLA)

Spec Decrease USD 19,800 18,000 15,400 14,000 S5F

Hedge/Member Decrease USD 18,000 18,000 14,000 14,000 S5F

(USGC MARINE FUEL 0.5% (PLATTS) VS.)

Spec Decrease USD 1,650 1,500 1,155 1,050 H5G

Hedge/Member Decrease USD 1,500 1,500 1,050 1,050 H5G

EIA FLAT TAX U.S. RETAIL GASOLINE SWAP FUTURES - All Months (EIA FLAT TAX US RETAIL GASOLINE FUT)

Spec Decrease USD 4,400 4,000 3,520 3,200 JE

Hedge/Member Decrease USD 4,000 4,000 3,200 3,200 JE

European 3.5% Fuel Oil Rotterdam Calendar Swap - Consecutive Months 2+ (EUROPE 3.5% FUEL OIL RDAM CALFUT)

Spec Decrease USD 4,125 3,750 2,750 2,500 UV

Hedge/Member Decrease USD 3,750 3,750 2,500 2,500 UV

European 3.5% Fuel Oil Rotterdam Calendar Swap - Consecutive Months 2+ (MICRO EUROPEAN 3.5% FUEL OIL BARGES)

Spec Decrease USD 41 38 28 25 MEF

Hedge/Member Decrease USD 38 38 25 25 MEF



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


European 3.5% Fuel Oil Rotterdam Calendar Swap - Consecutive Months 2+ (MINI EURO 3.5% FUEL OIL FOB RDM FUT)

Spec Decrease USD 413 375 275 250 0D

Hedge/Member Decrease USD 375 375 250 250 0D

European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnth 1 vs Mnth 2-6 (EUROPE 3.5% FUEL OIL RDAM CALFUT)



European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnth 1 vs Mnth 2-6 (MICRO EUROPEAN 3.5% FUEL OIL BARGES)



European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnth 1 vs Mnth 2-6 (MINI EURO 3.5% FUEL OIL FOB RDM FUT)

Spec Decrease USD 935 850 798 725 0D

Hedge/Member Decrease USD 850 850 725 725 0D

European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnth 1 vs Mnth 7-10 (EUROPE 3.5% FUEL OIL RDAM CALFUT)



European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnth 1 vs Mnth 7-10 (MICRO EUROPEAN 3.5% FUEL OIL BARGES)



European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnth 1 vs Mnth 7-10 (MINI EURO 3.5% FUEL OIL FOB RDM FUT)

Spec Decrease USD 1,265 1,150 836 760 0D

Hedge/Member Decrease USD 1,150 1,150 760 760 0D

European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnths 2-6 vs 2-6 (EUROPE 3.5% FUEL OIL RDAM CALFUT)



European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnths 2-6 vs 2-6 (MICRO EUROPEAN 3.5% FUEL OIL BARGES)



European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnths 2-6 vs 2-6 (MINI EURO 3.5% FUEL OIL FOB RDM FUT)

Spec Decrease USD 1,265 1,150 825 750 0D

Hedge/Member Decrease USD 1,150 1,150 750 750 0D

European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnths 7-10 vs 11+ (EUROPE 3.5% FUEL OIL RDAM CALFUT)

Spec Increase USD 5,060 4,600 6,600 6,000 UV

Hedge/Member Increase USD 4,600 4,600 6,000 6,000 UV



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnths 7-10 vs 11+ (MICRO EUROPEAN 3.5% FUEL OIL BARGES)

Spec Increase USD 51 46 66 60 MEF

Hedge/Member Increase USD 46 46 60 60 MEF

European 3.5% Fuel Oil Rotterdam Calendar Swap - Mnths 7-10 vs 11+ (MINI EURO 3.5% FUEL OIL FOB RDM FUT)

Spec Increase USD 506 460 660 600 0D

Hedge/Member Increase USD 460 460 600 600 0D

European Singapore Fuel Oil 180cst Calendar Swap - consecutives (MINI SINGP FUEL OIL 180CST FUTURES)

Spec Decrease USD 495 450 330 300 0F

Hedge/Member Decrease USD 450 450 300 300 0F

European Singapore Fuel Oil 180cst Calendar Swap - consecutives (SINGAPORE FUEL 180CST CALFUT)

Spec Decrease USD 4,950 4,500 3,300 3,000 UA

Hedge/Member Decrease USD 4,500 4,500 3,000 3,000 UA

European Singapore Fuel Oil 180cst Calendar Swap - Month 1 vs Months 2+ (MINI SINGP FUEL OIL 180CST FUTURES)

Spec Decrease USD 1,018 925 770 700 0F

Hedge/Member Decrease USD 925 925 700 700 0F

European Singapore Fuel Oil 180cst Calendar Swap - Month 1 vs Months 2+ (SINGAPORE FUEL 180CST CALFUT)

Spec Decrease USD 10,175 9,250 7,700 7,000 UA

Hedge/Member Decrease USD 9,250 9,250 7,000 7,000 UA

Gasoline Euro-bob Oxy (Argus) NWE Barges Swap - Mnth 1 vs Mnth 2 (GAS EURO-BOB OXY (ARG) NEW BRG)

Spec Decrease USD 9,900 9,000 7,920 7,200 7H

Hedge/Member Decrease USD 9,000 9,000 7,200 7,200 7H

Gasoline Euro-bob Oxy (Argus) NWE Barges Swap - Mnth 1 vs Mnth 2 (MINI GAS EUROBOB OXY BARGES FUT)

Spec Decrease USD 9,900 9,000 7,920 7,200 MEO

Hedge/Member Decrease USD 9,000 9,000 7,200 7,200 MEO

Gasoline Euro-bob Oxy (Argus) NWE Barges Swap - Month 1 vs Months 3+ (GAS EURO-BOB OXY (ARG) NEW BRG)

Spec Decrease USD 15,400 14,000 12,100 11,000 7H

Hedge/Member Decrease USD 14,000 14,000 11,000 11,000 7H

Gasoline Euro-bob Oxy (Argus) NWE Barges Swap - Month 1 vs Months 3+ (MINI GAS EUROBOB OXY BARGES FUT)

Spec Decrease USD 15,400 14,000 12,100 11,000 MEO

Hedge/Member Decrease USD 14,000 14,000 11,000 11,000 MEO

Gulf Coast #6 Fuel 3.0% Swap - Month 1 vs 12+ (GULF COAST HSFO (PLATTS) FUTURES)

Spec Decrease USD 4,950 4,500 3,850 3,500 MF

Hedge/Member Decrease USD 4,500 4,500 3,500 3,500 MF



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


Gulf Coast #6 Fuel 3.0% Swap - Month 1 vs 7-11 (GULF COAST HSFO (PLATTS) FUTURES)



Gulf Coast #6 Fuel 3.0% Swap - Month 2-6 vs 12+ (GULF COAST HSFO (PLATTS) FUTURES)



Gulf Coast #6 Fuel 3.0% Swap - Month 2-6 vs 7-11 (GULF COAST HSFO (PLATTS) FUTURES)

Spec Decrease USD 1,980 1,800 990 900 MF

Hedge/Member Decrease USD 1,800 1,800 900 900 MF

Gulf Coast #6 Fuel 3.0% Swap - Months 2-6 vs 2-6 (GULF COAST HSFO (PLATTS) FUTURES)



Gulf Coast #6 Fuel 3.0% Swap - Months 7-11 vs 7-11 (GULF COAST HSFO (PLATTS) FUTURES)

Spec Decrease USD 825 750 682 620 MF

Hedge/Member Decrease USD 750 750 620 620 MF

Month 1 vs 12+ (SYNTHET GULF COAST NO.6 FUEL OIL 3)

Spec Decrease USD 4,950 4,500 3,850 3,500 SMF

Hedge/Member Decrease USD 4,500 4,500 3,500 3,500 SMF

Month 1 vs 7-11 (SYNTHET GULF COAST NO.6 FUEL OIL 3)



Month 2 vs Months 3+ (EUROPEAN FOB RDAM MARINE FUEL 0.5%)



Month 2 vs Months 3+ (MICRO EURO MARINE 0.5% FO BARGES)



Month 2 vs Months 3+ (MICRO SINGAPORE FOB MARINE FUEL 0.5)



Month 2 vs Months 3+ (MINI EUROPEAN FOB RDAM MARINE FUEL)

Spec Decrease USD 1,320 1,200 880 800 R5M

Hedge/Member Decrease USD 1,200 1,200 800 800 R5M



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


Month 2 vs Months 3+ (MINI SINGAPORE FOB MARINE FUEL 0.5%)

Spec Decrease USD 1,320 1,200 825 750 S5M

Hedge/Member Decrease USD 1,200 1,200 750 750 S5M

Month 2 vs Months 3+ (SINGAPORE FOB MARINE FUEL 0.5% (PLA)



Month 2-6 vs 12+ (SYNTHET GULF COAST NO.6 FUEL OIL 3)



Month 2-6 vs 7-11 (SYNTHET GULF COAST NO.6 FUEL OIL 3)

Spec Decrease USD 1,980 1,800 990 900 SMF

Hedge/Member Decrease USD 1,800 1,800 900 900 SMF

Months 2-6 vs 2-6 (SYNTHET GULF COAST NO.6 FUEL OIL 3)



Months 3+ vs Months 3+ (EUROPEAN FOB RDAM MARINE FUEL 0.5%)



Months 3+ vs Months 3+ (MICRO EURO MARINE 0.5% FO BARGES)



Months 3+ vs Months 3+ (MICRO SINGAPORE FOB MARINE FUEL 0.5)



Months 3+ vs Months 3+ (MINI EUROPEAN FOB RDAM MARINE FUEL)

Spec Decrease USD 1,210 1,100 825 750 R5M

Hedge/Member Decrease USD 1,100 1,100 750 750 R5M

Months 3+ vs Months 3+ (MINI SINGAPORE FOB MARINE FUEL 0.5%)

Spec Decrease USD 1,320 1,200 825 750 S5M

Hedge/Member Decrease USD 1,200 1,200 750 750 S5M

Months 3+ vs Months 3+ (SINGAPORE FOB MARINE FUEL 0.5% (PLA)





Intra Spreads

New Maintenance

Current Maintenance

Current Initial


Months 3+ vs Months 3+ (USGC MARINE FUEL 0.5% (PLATTS) VS.)

Spec Decrease USD 1,595 1,450 1,320 1,200 H5G

Hedge/Member Decrease USD 1,450 1,450 1,200 1,200 H5G

Months 7+ vs 7+ (MICRO SINGAPORE FUEL OIL 380CST (PL)

Spec Increase USD 59 54 66 60 MAF

Hedge/Member Increase USD 54 54 60 60 MAF

Months 7+ vs 7+ (MINI SINGAPORE 380CST FUEL OIL FUT)

Spec Increase USD 594 540 660 600 MTS

Hedge/Member Increase USD 540 540 600 600 MTS

Months 7+ vs 7+ (SINGAPORE 380CST FUEL OIL FUT)

Spec Increase USD 5,940 5,400 6,600 6,000 SE

Hedge/Member Increase USD 5,400 5,400 6,000 6,000 SE

Months 7-11 vs 7-11 (SYNTHET GULF COAST NO.6 FUEL OIL 3)

Spec Decrease USD 825 750 682 620 SMF

Hedge/Member Decrease USD 750 750 620 620 SMF

Singapore 380cst Fuel Oil Swap - Consecutives (MICRO SINGAPORE FUEL OIL 380CST (PL)

Spec Decrease USD 33 30 22 20 MAF

Hedge/Member Decrease USD 30 30 20 20 MAF

Singapore 380cst Fuel Oil Swap - Consecutives (MINI SINGAPORE 380CST FUEL OIL FUT)

Spec Decrease USD 330 300 220 200 MTS

Hedge/Member Decrease USD 300 300 200 200 MTS

Singapore 380cst Fuel Oil Swap - Consecutives (SINGAPORE 380CST FUEL OIL FUT)

Spec Decrease USD 3,300 3,000 2,200 2,000 SE

Hedge/Member Decrease USD 3,000 3,000 2,000 2,000 SE

Singapore Gasoil Swap - Consecutives (MINI SINGAPORE GASOIL PLATS FUTURES)

Spec Decrease USD 57 52 51 46 MSG

Hedge/Member Decrease USD 52 52 46 46 MSG

Singapore Gasoil Swap - Consecutives (SINGAPORE GASOIL FUT)

Spec Decrease USD 572 520 506 460 SG

Hedge/Member Decrease USD 520 520 460 460 SG

Singapore Gasoil Swap - Consecutives (SYNTHETIC SINGAPORE GASOIL FUT)

Spec Decrease USD 572 520 506 460 SSG

Hedge/Member Decrease USD 520 520 460 460 SSG



Intra Spreads

New Maintenance

Current Maintenance

Current Initial


Singapore Gasoil Swap - Months 2-8 vs Months 9+ (MINI SINGAPORE GASOIL PLATS FUTURES)



Singapore Gasoil Swap - Months 2-8 vs Months 9+ (SINGAPORE GASOIL FUT)

Spec Decrease USD 1,925 1,750 1,430 1,300 SG

Hedge/Member Decrease USD 1,750 1,750 1,300 1,300 SG

Singapore Gasoil Swap - Months 2-8 vs Months 9+ (SYNTHETIC SINGAPORE GASOIL FUT)

Spec Decrease USD 1,925 1,750 1,430 1,300 SSG

Hedge/Member Decrease USD 1,750 1,750 1,300 1,300 SSG

Singapore Gasoil Swap - Months 9+ vs Months 9+ (MINI SINGAPORE GASOIL PLATS FUTURES)



Singapore Gasoil Swap - Months 9+ vs Months 9+ (SINGAPORE GASOIL FUT)

Spec Decrease USD 770 700 660 600 SG

Hedge/Member Decrease USD 700 700 600 600 SG

Singapore Gasoil Swap - Months 9+ vs Months 9+ (SYNTHETIC SINGAPORE GASOIL FUT)

Spec Decrease USD 770 700 660 600 SSG

Hedge/Member Decrease USD 700 700 600 600 SSG

Singapore Mogas 92 Unleaded (Platts) Swap - Consecutive (MOGAS92 UNLEADED (PLATTS) FUT)

Spec Decrease USD 880 800 715 650 1N

Hedge/Member Decrease USD 800 800 650 650 1N



Inter-commodity Spread Rates

New Maintenance

New Initial Current Maintenance

Current Initial

Ratio Change Rate Type

CRUDE OIL - Inter-commodity Spread Rates

RB Mnths 2+ vs JCC Mnth 2

Spread Credit Rate Decrease +1:-1 70% 70% 45% 45%

RB Mnths 2+ vs JCC Mnths 3+


INTEREST RATES - Inter-commodity Spread Rates

10YR INTEREST RATE SWAP FUTURE ERIS (LIY - CME) Tier 10 vs 3YR TREASURY (3YR - CME)

Spread Credit Rate New +1:-2 60% 60%























10YR INTEREST RATE SWAP FUTURE ERIS Tier 11 vs 2YR TREASURY






New Maintenance


Current Initial







10YR MAC SWAP FUTURE ERIS (N1U - CME) vs 3YR TREASURY (3YR - CME)


1M SOFR FUTURES (SR1 - CME) Month 1 vs 3-YEAR T-NOTE (3YR - CME) All Months












1M SOFR FUTURES (SR1 - CME) Month 7+ vs 3-YEAR T-NOTE (3YR - CME) All Months


2 YEAR INTEREST RATE SWAP DELIVERABLE FUTURE (T1U - CME) vs 3-YEAR T-NOTE (3YR - CME)


2YR INTEREST RATE SWAP FUTURE ERIS (LIT - CME) Tier 3 vs 3YR TREASURY (3YR - CME)






3 YEAR NOTE (3YR - CME) vs EURODOLLAR Tier 01 (ED - CME)

Spread Credit Rate Increase +2:-3 30% 30% 50% 50%






New Maintenance


Current Initial




















3 YEAR NOTE (3YR - CME) vs FED FUNDS Tier 1 (41 - CME)










3 YEAR TREASURY (3YR - CME) vs 5YR DELIVERABLE SWAP CME (F1U - CME)


3 YEAR TREASURY (3YR - CME) vs 7 YR SWAP ERIS (LIB - CME) Contracts 1-21


3 YEAR TREASURY (3YR - CME) vs 7 YR SWAP ERIS (LIB - CME) Contracts 22+





New Maintenance


Current Initial




3M SOFR FUTURES (SR3 - CME) Month 13-16 vs 3-YEAR T-NOTE (3YR - CME) All Months


3M SOFR FUTURES (SR3 - CME) Month 17+ vs 3-YEAR T-NOTE (3YR - CME) All Months












3YR INTEREST RATE SWAP FUTURE ERIS (LIC- CME) Tier 3 vs 3-YEAR T-NOTE (3YR - CME)












4 YR INTEREST RATE SWAP FUTURE ERIS (LID- CME) Tier 3 vs 3-YEAR T-NOTE (3YR - CME)









New Maintenance


Current Initial








5YR INTEREST RATE SWAP FUTURE ERIS (LIW - CME) Contracts Tier 10 vs 3YR TREASURY - (3YR - CME)
















REFINED PRODUCTS - Inter-commodity Spread Rates

RB Mnths 2+ vs JCC Mnth 2


RB Mnths 2+ vs JCC Mnths 3+




Short Option Minimum (SOM) Rate

New Maintenance

Current Maintenance

New Initial Current Initial Change Rate Type Tier Description

FREIGHT - Short Option Minimum (SOM) Rate

FREIGHT ROUTE TC17 (BALTIC) FUTURES (T7C) - SOM

Clearing Member Rate New 55.000 50.000



Volatility Scan (volScan) Rate

New Maintenance

Current Maintenance

New Initial Current Initial Change Rate Type Tier Description

EQUITY INDEX - Volatility Scan (volScan) Rate

E-MINI DOW ($5) FUTURES (11, 11, DO, EYM, EZD, MYM, YM, YM, YMI, YMT) - volScan

Clearing Member Rate Months 2+ Decrease 40.000% 30.000%

E-MINI NASDAQ-100 FUTURES (7H, DN, MNQ, ND, ND, NQ, NQ, NQI, NQQ, NQT, QN, QQ1, YH) - volScan

Clearing Member Rate Decrease 40.000% 30.000% Months 2+

E-MINI RUSSELL 2000 INDEX FUTURES (M2K, RLT, RTM, RTO, RTQ, RTY, TQ1) - volScan


S&P 500 (7S, 8A, 8B, ES, ES, ESI, ESQ, EST, EV, EW, MDV, MDW, MES, MMV, MMW, SP, SP, YP1, YPB) - volScan


FREIGHT - Volatility Scan (volScan) Rate

FREIGHT ROUTE TC17 (BALTIC) FUTURES (T7C) - volScan

Clearing Member Rate New 25.000% Mnths 1



Clearing Member Rate New 25.000% Mnths 4-9

Clearing Member Rate New 25.000% Mnths 10+


20-288 · 2020-07-23 · clearing member rate mnths 4-9 new 25.000% clearing member rate mnths 10+...

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